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- W3124892116 abstract "We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to a finite sequence of state-constrained optimal control problems with additional states corresponding to the conditional probability of stopping at each possible terminal time. The proof of this correspondence relies on a new variation of the dynamic programming principle for state-constrained problems which avoids measurable selection. We emphasize that distribution constraints lead to novel and interesting mathematical problems on their own, but also demonstrate an application in mathematical finance to model-free superhedging with an outlook on volatility." @default.
- W3124892116 created "2021-02-01" @default.
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- W3124892116 date "2016-04-01" @default.
- W3124892116 modified "2023-09-27" @default.
- W3124892116 title "Distribution-Constrained Optimal Stopping" @default.
- W3124892116 hasPublicationYear "2016" @default.
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